Trend-Following Backtester · Guide · backtest 한국어
equity · KR
동원산업 backtest
10 trend-following strategies were compared on the full daily history of 동원산업. 0 beat buy-and-hold CAGR; Supertrend ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is Supertrend (CAGR 14.3%, MDD -49.0%).
Results by strategy
0 of 10 beat buy and hold (CAGR 14.4%, drawdown -69.1%).
Sharpe leader (same as main): Supertrend — CAGR 14.3%, MDD -49.0%, Sharpe 0.57, 61% exposure.
Return/drawdown alternative: Supertrend — CAGR is 0.1%p lower than buy and hold, while drawdown improves by 20.0%p (CAGR 14.3%, MDD -49.0%, exposure 61%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Supertrend period=15, mult=4.4 |
14.3% | -49.0% | 0.57 | 0.29 | 35.2x | 70 | 61% |
| SMA 크로스오버 fast=27, slow=165 |
12.8% | -71.2% | 0.54 | 0.18 | 24.3x | 50 | 60% |
| Donchian 채널 돌파 entryN=18, exitN=52 |
12.1% | -70.5% | 0.49 | 0.17 | 20.8x | 77 | 74% |
| ADX / DI 방향성 period=57, threshold=7 |
9.5% | -77.4% | 0.43 | 0.12 | 11.1x | 184 | 65% |
| EMA 크로스오버 fast=41, slow=169 |
9.0% | -81.0% | 0.43 | 0.11 | 9.8x | 52 | 61% |
| ROC 모멘텀 n=116, threshold=-0.11 |
9.3% | -82.7% | 0.43 | 0.11 | 10.5x | 174 | 77% |
| Keltner 채널 돌파 emaPeriod=55, atrPeriod=22, mult=0.8 |
6.1% | -77.7% | 0.35 | 0.08 | 4.8x | 230 | 48% |
| Parabolic SAR step=0.005, maxStep=0.02 |
5.0% | -64.7% | 0.31 | 0.08 | 3.7x | 139 | 50% |
| 볼린저 밴드 돌파 n=46, k=1.2 |
4.0% | -74.5% | 0.28 | 0.05 | 2.9x | 200 | 42% |
| MACD fast=13, slow=23, signal=16 |
2.4% | -92.9% | 0.23 | 0.03 | 1.9x | 411 | 49% |
| Buy and hold | 14.4% | -69.1% | 0.53 | 0.21 | 35.7x | 1 | 100% |
Rules of the top strategy
Trades the direction of a volatility-based trend line that trails below/above price.
- Buy — Buy when price moves above the trend line (flips up) — 15-day volatility, 4.4× band
- Sell — Sell when price drops below the trend line (flips down)